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I use Armor Penetration marks and Quints, Armor Seals and Mana Regeneration per level Glyphs.
Masteries don't matter that much, 9/0/21, 11/3/16, 21/0/9 are all viable options, it just depends on what you prefer.

There's a few ways to do it, I generally prefer to get a cloth armor first and get some health potions (just get 5 if you're new at this).

Build this into a Madred's Razor (usually upgrade this into a lantern unless you expect to need a bloodrazor later on), pick up an early vamp scepter (and of course boots of speed) too, even if you aren't getting the lantern. Lifesteal keeps you from having to recall often which speeds up your leveling.

After this there's a bunch of items that work well on Yi, I usually start off with a Zeal for the extra movement speed and attack speed. Youmuu's Ghostblade and Starks Fervor are great items for Yi too, and if you need more health and find yourself without red buff often pick up a phage and upgrade it to a mallet.

Order:
Jungle order for Yi is a little different than most junglers (everyone seems to start at Blue regardless of their champ these days).

I usually start at the small golems, using alpha strike on them and killing one with smite (unless your alpha strike procs the extra damage on both of them) then head to the wraiths, do the wolves and then get the blue buff (smite should be up for this again).

After getting blue, recall and buy a long sword, boots of speed or a vampiric scepter (depending on what you think you'll need most, generally the vamp scepter will be most helpful but getting boots allows you to pick up an early ward.

Head to the red buff camp on your side and after killing it look for potential ganks.

Skill order:
Q
E
E/W/Q (i generally take E but taking W allows you to buy less healing potions at the start whereas Q has the highest jungle speed potential)
Get R whenever it's available, the order after this is really up to you (i prefer maxing out e first and then q, taking one or 2 levels in w if my team is unreliable).

That's pretty much it, Yi's a fairly easy and potentially super fast jungler as well as a potential hyper carry especially in solo q, good luck!

stick into a lane until you have enough for madred's? So you steal xp from your lane partner and then go off into the woods leaving him vulnerable to ganks? The idea of jungling is to have a second solo lane and a jungler who is not far behind in levels. Remember to go jungling only if there is a second player who can solo lane. Otherwise it's more likely you lose a turret early and you have one player who will have a hard time keeping up late game.

stick into a lane until you have enough for madred's? So you steal xp from your lane partner and then go off into the woods leaving him vulnerable to ganks?

That's just the same as going at the start, apart from then they're more vulnerable to ganks. The same solo lane principle applies, a strong solo laner goes top or something with you, you go when you have Madred's.

Believe me, without sticking in lane for at least a small while, you won't be a successful Yi jungler.

Oh, and I forgot to mention, item buy order -
Cloth Armor + 5x Health Pots
Madred's
Vampiric Sceptre > Stark's Fervor (From your Vamp. Sceptre, you shouldn't lose almost any health to golem/lizard)
Your choice really, I tend to build a Phantom Dancer then Inf. Edge, but from there it depends on your build.

Believe me, without sticking in lane for at least a small while, you won't be a successful Yi jungler.

If that's your opinion, then don't jungle.
Either be a dedicated jungler or be a laner.

The same principles do NOT apply, because you're leeching a lot of experience and last hits from your lane mate.
This will make it almost impossible for him to solo against skilled opponents.

There's one good alternative:
Go on a lane and stay there most of the time. But every now and then you're sneaking into the woods to kill one creep camp and return asap to help out your lane mate again.

And FYI:
Believe us, Mr. Yi does NOT have to "stick in a lane a small while" at level 30 and with the right runes. He is totally able to jungle right from the start.